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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 44 44 44 44 44 44 44 44 45 45 45
Closed Higher 24 22 23 27 21 25 21 16 17 23 23
Exceeded High 21 18 17 21 16 19 16 14 13 14 8
Scenario Percentage 88% 82% 74% 78% 76% 76% 76% 88% 76% 61% 35%
Avg Max Increase 7.82% 7.00% 10.43% 8.25% 12.11% 9.05% 11.90% 10.56% 9.24% 7.46% 3.80%
Max Increase 28.86% 31.87% 33.85% 31.42% 33.57% 55.24% 49.88% 43.29% 27.00% 19.56% 9.02%
Avg Days To Max Increase 15 22 19 20 17 18 21 17 18 11 5
Avg Max Decline -1.38% -1.68% -1.79% -2.60% -2.23% -1.86% -2.03% -2.96% -2.07% -1.72% -0.60%
Max Decline -5.32% -4.26% -7.08% -10.65% -9.99% -10.75% -6.53% -9.53% -4.95% -5.94% -1.71%
Avg Days to Max Decline 10 10 8 13 5 7 5 7 8 5 1
2009 Contract Condition Yes   Yes Yes Yes   Yes   Yes Yes Yes
Action No   Yes Yes Yes   Yes   Yes Yes Not Yet
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 44 44 44 44 44 44 44 44 45 45 45
Closed Lower 20 21 21 17 22 19 23 28 28 22 22
Penetrated Low 16 18 15 14 19 16 20 17 21 16 15
Scenario Percentage 80% 86% 71% 82% 86% 84% 87% 61% 75% 73% 68%
Avg Max Decline 6.80% 5.74% 6.89% 7.14% 7.22% 8.43% 8.00% 10.70% 8.48% 6.81% 14.16%
Max Decline 20.96% 19.97% 16.87% 18.35% 26.30% 19.05% 26.03% 37.46% 35.90% 17.14% 47.84%
Avg Days To Max Decline 14 18 22 19 18 14 17 20 17 13 9
Avg Max Increase -1.52% -2.39% -3.60% -2.59% -2.69% -2.25% -1.30% -1.54% -3.09% -2.49% -1.57%
Max Increase -5.15% -9.20% -13.11% -12.82% -13.00% -10.03% -5.36% -4.99% -7.69% -9.27% -7.35%
Avg Days to Max Increase 9 13 13 10 10 11 5 8 12 8 3
2009 Contract Condition   Yes       Yes   Yes      
Action   Yes       No   No      
High 57.20 56.35 51.70 57.50 63.75 62.63 64.98 65.47 65.39 69.49 72.00
Low 51.85 48.42 46.25 50.87 57.20 54.77 57.48 57.00 57.52 60.59 65.87
Close/Last 55.54 48.96 51.56 57.46 60.85 57.48 60.02 59.74 62.84 67.64 70.75

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